Mechanical properties of magnetorheological (MR) fluids have been investigated in slow compression under different magnetic fields. The compressive stress of the MR fluid has been deduced by assuming that it was a continuous shear flow in Bingham model and has been calculated. The compressive stress has also measured in different magnetic fields and initial gap distances. The compressive stress of the MR fluid in a high magnetic flux density and/or a small initial gap distance was much higher than that predicted by the traditional continuous media theory. Compressive experimental results were also compared with the continuous media theory by a normalized logarithmic form. The achieved experimental result seems to deviate from the prediction by the continuous media theory at a high magnetic flux density and a small initial gap distance. The MR fluid had a high compressive modulus when the compressive strain was lower than 0.042. The compressive modulus had an exponential relationship with the compressive strain higher than 0.042. Frictions between particles, which contribute to the high structure factor, were thought to play an important role in the large deviations in squeeze mode.